First, answering your question, you should search for progress indicators on checkout processes. There you will most likely find what I also heavily researched the last months:
- Color coding (positive color, thus no red) is a good way to highlight the current step
- A friendly Google employee who was inhouse to give a small presentation about checkouts, lately gave me to think: It also apparently is very useful to highlight the "way to the next step" also in green, so it feels that users are already "half way there". Unfortunately, I do not have data on this, yet. But we're testing!
But overall: Yes. Highlighting brings focus, thus is a good lead.
Anyhow, I would put some focus on using a wizard mechanism at all. You might want to google pros and cons, as users seem to feel patronized by a tool they can hardly escape, as soon as it is not representing their actual work flow. The mobile gaming industry also has some nice examples of how to teach the user while he already is playing the game.
You should try to make sure that your wizard is helping and not annoying, which is not an easy task at all.